✦ LIBER ✦
Bivariate GARCH estimation of the optimal hedge ratios for stock index futures: A note
✍ Scribed by Tae H. Park; Lorne N. Switzer
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 385 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
✦ Synopsis
2Cecchetti, Cumby, and Figlewski (1988)
apply ARCH in estimating an optimal futures hedge with Treasury bonds. Baillie and Myers (199 1) and Myers (1991) examine commodity futures and report improvements in hedging performance over the constant hedge approach by following a dynamic strategy based on the GARCH framework. Kroner and Sultan (1991, 1993) find similar results with currency futures.